The Haar Wavelet Transfer Function Model and Its Applications
AbstractIn the paper the Haar wavelet transfer function models are suggested as a way to parsimoniously parametrise the impulse responses and construct models with parameters providing an insight into the frequency content of the relationships under scrutiny. Besides, the models enable to verify hypotheses concerning changes of the regression parameters across dyadic scales (octave frequency bands). In the paper some theoretical properties of the models are investigated and an empirical illustration is provided. In the empirical study returns on WIG are modelled with the help of returns on S&P 500. Interestingly, besides the insight into the frequency content of the relationship, the empirical wavelet transfer function models also provided good forecasts.
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Bibliographic InfoArticle provided by Wydawnictwo Naukowe Uniwersytetu Mikolaja Kopernika in its journal Dynamic Econometric Models.
Volume (Year): 11 (2011)
Issue (Month): ()
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Web page: http://www.wydawnictwoumk.pl
wavelet transfer function model; Haar wavelet; maximal overlap discrete wavelet transform.;
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- Richard A. Ashley. & Randall J. Verbrugge, 2006.
"Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series,"
e06-7, Virginia Polytechnic Institute and State University, Department of Economics.
- Richard Ashley & Randal Verbrugge, 2009. "Frequency Dependence in Regression Model Coefficients: An Alternative Approach for Modeling Nonlinear Dynamic Relationships in Time Series," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 4-20.
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